There's only 1 version available from the Source Forge page (1.0.13), and now the latest SBCL is 1.0.21, so I decided to build myself.I build it using Cygwin and SBCL 1.0.13, and it works, but unfortunately it fails on one test :

WARNING! Some of the contrib modules did not build successfully or passtheir self-tests. Failed contribs:" sb-simple-streams

As far as I concern, all of my small Lisp scripts works well. So, is it safe to still using this, or should I switch back to CLISP ?

This is not a direct answer to your question as such, but I thought I could mention Cusp (http://bitfauna.com/projects/cusp/index.html). It runs SBCL on top of the Eclipse IDE on Windows and it is gorgeous and easy to use. Loading libraries and packages requires only a couple clicks. It's certainly worth trying if you haven't already done so.